Migraine and cluster headache are common headache disorders that impact patients' quality of life. The pharmacotherapy for acute headache attacks is sometimes ineffective, and the adherence to preventive medications is low due to their side effects and/or lack of efficacy. Recently, several non-invasive neuromodulation devices for primary headache disorders have been launched and attracted the attention of patients and physicians because of their practicality, safety, and the possibility of becoming new treatment options. In this review, we describe external trigeminal nerve stimulation (eTNS), non-invasive vagal nerve stimulation (nVNS), and single-pulse transcranial magnetic stimulation (sTMS) which have been well studied in recent randomized sham-controlled trials and open-label studies. We also describe their mechanisms of action and adverse events.